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QUANT - LAB ADF-GLS + COINT + VRT-WB [ERS]
ADF-GLS + COINT + VRT-WB [ERS] V9.2 INSTITUTIONAL
Institutional-grade econometric suite for unit root testing, cointegration analysis, and mean-reversion detection.
Unit Root Tests:
ADF-GLS (Elliott, Rothenberg & Stock, 1996) with MAIC lag selection
Phillips-Perron Z_t with Newey-West correction
KPSS stationarity test (confirmatory)
MZ-alpha test
Cointegration (Bivariate):
Engle-Granger two-step test (MacKinnon 2010 critical values)
Johansen Trace test (Osterwald-Lenum 1992 CVs)
Real-time spread Z-score with tick-by-tick updates
Mean-Reversion:
Variance Ratio Test (Lo-MacKinlay 1988)
Mammen Wild Bootstrap for heteroskedasticity robustness
Half-life estimation with 95% CI (delta method)
Diagnostics:
Ljung-Box Q(4) for residual autocorrelation
ARCH(4) test for heteroskedasticity
HAC standard errors (Newey-West)
Important:
Screening tool only — validate in Python/R/statsmodels
Beta SE is BIASED (generated regressor problem)
Johansen limited to bivariate systems
Bootstrap p-value resolution ~2-5%
NOT a trading system
References: ERS (1996), Lo & MacKinlay (1988), Engle & Granger (1987), Johansen (1988), MacKinnon (2010)
Institutional-grade econometric suite for unit root testing, cointegration analysis, and mean-reversion detection.
Unit Root Tests:
ADF-GLS (Elliott, Rothenberg & Stock, 1996) with MAIC lag selection
Phillips-Perron Z_t with Newey-West correction
KPSS stationarity test (confirmatory)
MZ-alpha test
Cointegration (Bivariate):
Engle-Granger two-step test (MacKinnon 2010 critical values)
Johansen Trace test (Osterwald-Lenum 1992 CVs)
Real-time spread Z-score with tick-by-tick updates
Mean-Reversion:
Variance Ratio Test (Lo-MacKinlay 1988)
Mammen Wild Bootstrap for heteroskedasticity robustness
Half-life estimation with 95% CI (delta method)
Diagnostics:
Ljung-Box Q(4) for residual autocorrelation
ARCH(4) test for heteroskedasticity
HAC standard errors (Newey-West)
Important:
Screening tool only — validate in Python/R/statsmodels
Beta SE is BIASED (generated regressor problem)
Johansen limited to bivariate systems
Bootstrap p-value resolution ~2-5%
NOT a trading system
References: ERS (1996), Lo & MacKinlay (1988), Engle & Granger (1987), Johansen (1988), MacKinnon (2010)
受保護腳本
此腳本以閉源形式發佈。 不過，您可以自由使用，沒有任何限制 — 點擊此處了解更多。
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
受保護腳本
此腳本以閉源形式發佈。 不過，您可以自由使用，沒有任何限制 — 點擊此處了解更多。
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。